Objectives Major Depressive Disorder (MDD) is a complex neuropsychiatric disease with known genetic associations, but without known links to rare variation in the human genome. Here we aim to identify rare genetic variants associated with MDD using deep whole-genome sequencing data in an independent population. Methods We report the sequencing of 1,688 whole genomes in a large sample of male-male Veteran twins. Depression status was classified based on a structured diagnostic interview according to DSM-III-R diagnostic criteria. Searching only rare variants in genomic regions from recent GWAS on MDD, we used the optimised sequence kernel association test and Fisher's Exact test to fine map loci associated with severe depression. Results Our analysis identified one gene associated with severe depression, basic helix loop helix e22 (P Adjusted = 0.03) via SKAT-O test between unrelated severely depressed cases compared to unrelated non-depressed controls. The same gene BHLHE22 had a non-silent variant rs13279074 (P Adjusted = 0.032) based on a single variant Fisher’s Exact test between unrelated severely depressed cases compared to unrelated non-depressed controls. Conclusion The gene BHLHE22 shows compelling genetic evidence of directly impacting the severe depression phenotype. Together these results advance understanding of the genetic contribution to major depressive disorder in a new cohort and link a rare variant to severe forms of the disorder.